haku: @author Lee, W. / yhteensä: 11
viite: 7 / 11
| Tekijä: | Lee, W. |
| Otsikko: | Covariance risk, consumption risk, and international stock market returns |
| Lehti: | Quarterly Review of Economics and Finance
1997 : SUMMER, VOL. 37:2, p. 491-510 |
| Asiasana: | CONSUMPTION RISK INTERNATIONAL STOCK MARKETS RETURN ON INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | The nonexpected utility model explicitly builds in investor preference for early or late resolution, unlike the time-additive expected utility models. As long as the timing of resolution matters, both consumption growth and world market portfolio return are important in characterizing international stockmarket returns. This model generalizes the static International Capital Asset Pricing Model (ICPM) and expected utility consumption-based asset pricing model. Two common measures of consumption are used to test the model. The results provide a possible reason for the mispricing of some stock market returns by the static ICAPM in Harvey (1991), there is more than one source of risk. |
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